Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0120
Annualized Std Dev 0.0593
Annualized Sharpe (Rf=0%) 0.2022

Row

Daily Return Statistics

Close
Observations 3511.0000
NAs 1.0000
Minimum -0.0411
Quartile 1 -0.0018
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0020
Maximum 0.0383
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0037
Skewness -0.3683
Kurtosis 13.4089

Downside Risk

Close
Semi Deviation 0.0027
Gain Deviation 0.0025
Loss Deviation 0.0029
Downside Deviation (MAR=210%) 0.0090
Downside Deviation (Rf=0%) 0.0027
Downside Deviation (0%) 0.0027
Maximum Drawdown 0.1594
Historical VaR (95%) -0.0057
Historical ES (95%) -0.0089
Modified VaR (95%) -0.0055
Modified ES (95%) -0.0084
From Trough To Depth Length To Trough Recovery
2008-01-23 2008-10-10 2009-09-02 -0.1594 408 183 225
2012-12-03 2018-11-08 2020-02-28 -0.1245 1822 1496 326
2020-03-09 2020-03-19 2020-05-29 -0.0916 58 9 49
2010-11-05 2011-02-08 2011-08-10 -0.0735 192 65 127
2020-08-07 2021-03-19 NA -0.0610 156 155 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.4 -0.7 0.6 -0.5 0.1 -0.2 0.6 0.1 0.3 -0.1
2008 -0.4 0.9 -1 -0.5 0.2 -0.6 -0.4 -0.5 0 0 0.4 -0.2 -2.1
2009 -0.1 -0.2 -0.1 -0.8 -1.3 -0.3 0.9 0 0.2 0.6 -0.7 -0.2 -2
2010 -0.7 -0.3 -0.5 0.4 -0.2 -0.3 0.5 -0.8 -0.4 -0.4 -1.2 0.5 -3.5
2011 -0.6 -0.3 -0.1 0.4 0.3 -0.4 0.1 0.2 0.3 0.2 -0.2 0 -0.2
2012 -0.3 -0.5 -0.1 -0.2 0.2 -0.2 -0.5 0.4 0 -0.2 0.1 -0.4 -1.7
2013 -0.5 0 -0.6 0 -0.4 -0.1 -1 0 -0.4 -0.6 -0.1 -0.3 -3.8
2014 0.2 -0.1 -0.4 0 -0.1 -0.4 0.2 0.1 0.4 -0.1 -0.4 0.1 -0.5
2015 0.6 0.3 0.2 -0.6 -0.5 -0.5 0.5 0.1 -0.2 0.2 0.2 0.2 0.5
2016 -0.5 -0.5 -0.4 0 -0.3 0 -0.4 -0.1 -0.2 -0.3 -0.6 0.3 -3
2017 -0.4 -0.7 0.2 -0.3 -0.2 -0.2 0 -0.5 -0.1 -0.2 0 0.2 -2.1
2018 -0.6 0 0.2 -0.4 -0.5 0 -0.4 0 -0.4 -0.2 0.1 0.3 -1.8
2019 -0.6 -0.5 -0.7 -0.3 0.5 -0.2 0.7 0 -0.1 -0.3 0 -0.1 -1.6
2020 0.4 0.9 -0.3 -0.3 0 -0.1 0.1 0.1 -0.1 -0.2 -0.5 0 -0.1
2021 -0.1 0 0 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-04-10  75.1 SPY    145.  0.00120   0.0172   0.0272   0.0242    0.105    0.259    0.280 GLD    67.2  0.0095    0.0199
2 2007-04-11  75.0 SPY    144. -0.0041    0.0023   0.0215   0.0209    0.112    0.256    0.284 GLD    67.1 -0.00120   0.019 
3 2007-04-12  74.9 SPY    145.  0.0044    0.0056   0.0464   0.022     0.115    0.265    0.276 GLD    67.0 -0.0013    0.0027
4 2007-04-13  74.9 SPY    145.  0.0046    0.0075   0.0434   0.0222    0.130    0.266    0.314 GLD    67.8  0.0127    0.0147
5 2007-04-16  75   SPY    147.  0.0095    0.0156   0.0518   0.0242    0.138    0.296    0.317 GLD    68.4  0.0083    0.0281
6 2007-04-17  75.2 SPY    147.  0.0027    0.0171   0.0618   0.0289    0.143    0.297    0.330 GLD    68   -0.00580   0.0125
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart